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Does Information Help Recovering Structural Shocks from past Observations?

Year: 2006

Type: article

Abstract: This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of nonfundamentalness be solved by considering additional information? The answer to the first question is "yes" and that to the second is "under some conditions".

Source: Journal of the European Economic Association

DOI: 10.1162/jeea.2006.4.2-3.455

Authors: Domenico Giannone, Lucrezia Reichlin

Institutions: Centre for Economic Policy Research, London Business School

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2171047774

FWCI: 11.94

Cites: 25

Cited by: 123

Related to: 10